wilmott.com

Hi, I have read the introduction part of this paper and found it interesting. I would like to hear from people who are familiar with his work or have bought the full text of this paper.

I bought the full paper...didn't read through the whole thing yet, but his premise is very interesting..there is a youtube video of his CDF Dist. being plotted against the 2010 market crash in real time. Not sure how valuable Marcos thinks his work is, If it reallycan predict crashes, then more money can be made in not revealing it to the public..a good crash warning indicator is probably worth more than a 100 p.h.ds

I am recently looking at pin/vpin stuff. It turns out to be a simple measure of the markets participants' buy/sell intentions. If the intentions that we measure is not symmetric over buys and sells, we believe there are some informed traders and we get a trending signal? There seems to be a lot of academic papers discussing pin/vpin stuff. Anyone knows what are the main issues there? To AnalyticalVega: can you share your view after you read the paper?

QuoteOriginally posted by: outrunI found a couple of slides in a PDF, but isn't the thesis available for free electronically?The only option I've found is to get a hardcover printed on demand at lulu.There is a more complete paper available for free , but it does NOT appear to be the entire thesishttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1695596

Here is the video in case anyone is interested.

Marcos will be speaking here: http://bigdatafinanceconference.com/bigdata/?page_id=81

nice follow up on the paper VPIN and the Flash Crash

QuoteOriginally posted by: 4rchernice follow up on the paper VPIN and the Flash CrashFollow up²: VPIN and the Flash Crash: A Comment

A Kellogg professor tried to duplicate results from the paper without success. Hence there is some doubt on this paper especially in that it mixes volume space and time spaces measurements. I am trying to see if this is because of the difference among data sources. But without paying I cannot get any data for high frequency data of E-mini S&P500 future. Anyone have access to this type of data? Please share if you don't mind. I only need data up to minutes. http://insight.kellogg.northwestern.edu ... _with_vpin

QuoteOriginally posted by: LikelyOrUnlikelyA Kellogg professor tried to duplicate results from the paper without success. Hence there is some doubt on this paper especially in that it mixes volume space and time spaces measurements. I am trying to see if this is because of the difference among data sources. But without paying I cannot get any data for high frequency data of E-mini S&P500 future. Anyone have access to this type of data? Please share if you don't mind. I only need data up to minutes. http://insight.kellogg.northwestern.edu ... with_vpinI forwarded the article to Marcos and he replied, here is the entire thread:Hi Sholom,Thanks for your e-mail.The editors of the Journal of Financial Markets retracted the paper written by Profs. Andersen and Bondarenko, after identifying a number of issues.http://www.sciencedirect.com/science/ar ... 12000389We expressed our concerns with that paper in this note: http://ssrn.com/abstract=2062450 I hope that clarifies your question.Best regards,MarcosDate: 4/29/2013Subject: Any comment on this article?Hi Marcos, Do you have any comment on this article? Thanks. -Sholomhttp://insight.kellogg.northwestern.edu/article/the_trouble_with_vpin